Dane wysokiej częstotliwości na GPW

dim(raw.example)

[1] 53585    11

head(raw.example, 3)

          V1           V2  V3   V4         V5              V6     V7
1 2014-05-20 AT0000467071 243 WETP RCNDXAOPEN 11:17:20.434606 110.69
2 2014-05-20 AT0000467071 243 WETP RCNDXAOPEN  11:13:45.98489 110.66
3 2014-05-20 AT0000489380 243 WETP RCSILAOPEN 15:07:35.524338  58.79
      V8 V9  V10 V11
1 110.69  2 CNSC PLN
2 110.66  4 CNSC PLN
3  58.79 85 CNSC PLN

tail(raw.example, 4)

              V1           V2  V3   V4        V5              V6    V7
53582 2014-05-20 XS0575337901 243 WETP GNLM90215 09:41:47.807174 95.20
53583 2014-05-20 XS0575337901 243 WETP GNLM90215  09:41:46.74134 95.20
53584 2014-05-20 XS0575337901 243 WETP GNLM90215 09:41:46.741332 95.25
53585 2014-05-20 XS0575337901 243 WETP GNLM90215  09:41:46.78141 95.20
         V8  V9  V10 V11
53582 95.20 100 CNSC PLN
53583 95.20 100 CNSC PLN
53584 95.25  80 CNSC PLN
53585 95.20 100 CNSC PLN

• Opóźniona korelacja
• Niesynchroniczny handel
• Inne (np. dyskretne ceny)

\[ cov(X_1 + X_2; Y_1 + Y_2)= \]

\[ cov(X_1 ; Y_1 )+ cov(X_2 ; Y_2 )+cov(X_2 ; Y_1 )+cov(X_1 ; Y_2 ) \]

Wizualizacja